Effect of Monetary Policy Decisions and Announcements on the Price of Cryptocurrencies: An Elastic-Net With Arima Residuals Approach

Abstract

This study analysed the three cryptocurrencies with the largest market capitalization: Bitcoin, Ether (cryptocurrency built upon the Ethereum project's blockchain technology), and Binance coin, which account for 60% of the total cryptocurrency market capitalization. The purpose of this research was to measure the impact of monetary policy on the price of these cryptocurrencies using an adjusted R squared.

Keywords

• cryptocurrency
• monetary policy
• elastic net
• arima
• e42
• e52
• e58
• g02
• g15